Select your city:

VTB Bank call center

+7 (800) 200-77-99
+7 (495) 739-77-99
For general information and enquiries

Money market: another turn in NDF/XCCYs


Yesterday, the overnight FX swap closed at 10.51%, while the weighted average rate declined another 8bp to 10.45%. On Wednesday, the FX swap-RUONIA spread narrowed to -4bp, and we think the basis remained close to the zero level yesterday. Correspondent accounts decreased to RUB 1.03tn (-RUB 354bn) yesterday morning, but demand for liquidity was subdued. Banks used only the CBR’s fixed-rate repo facility, refinancing RUB 135bn, but completely ignored the Treasury deposit auctions.

The roller-coaster in NDF/XCCY rates continued. Yesterday, the NDF curve tightened 35-45bp, with the one-month tenor easing to 11.60% and 3M NDF declining to 12.36%. Pressure on the front end of the XCCY curve also abated, with the rates moving down near 30bp. Hence, the one-year rate decreased to 12.32%, while the three-year tenor closed at 10.90%. In the meantime, the IRS curve traded 2-5bp wider, 3M MosPrime closed at 11.88%.

Maxim Korovin, Tatiana Chernyavskaya
VTB Capital analysts

money market

Back to the list

VTB group news subscribe
  • E-mail subscribe
  • RSS lent
Download the list of cities.....